Mean-square stability of Milstein method for nonlinear neutral stochastic delay differential equations

摘要：

　　There are few results on the numerical stability of nonlinear neutral stochastic delay differential equations (NSDDEs).In this paper,first we build a Milstein method for nonlinear NSDDEs,second giving the sufficient condition of the mean square stability of the numerical scheme and proving the mean square stable of the method is proved,final the theoretical result is also confirmed by a numerical experiment.

关键词： Nonlinear Neutral stochastic delay differential equations Milstein scheme mean-square stability

作者: Wenqiang Wang Hegao Huang

作者单位: School of Mathematics and Computational Science,Xiangtan University,Hunan 411105,P.R. China

会议类型: 国内会议

会议名称: 第四届中国系统仿真学会青年工作委员会学术会议暨2012仿真科学与技术青年学术论坛

会议地点: 敦煌

会议语种:英文

页码: 23-34

在线出版日期: 2012-08-01（万方平台首次上网日期，不代表论文的发表时间）